Economics and financial effects of COVID-19 pandemic

• Κύριος συγγραφέας: Γεωργιόπουλος, Παναγιώτης
• Άλλοι συγγραφείς: Georgiopoulos, Panagiotis
• Γλώσσα: English
• Έκδοση: 2022
• Θέματα: Hedging; COVID-19; Portfolio; Commodities; S&P 500; Bitcoin; Gold; Oil; DCC-GARCH; Αντιστάθμιση ρίσκου; Χαρτοφυλάκιο; Αγαθά; Χρυσός; Πετρέλαιο

In this dissertation, we study the effects the COVID-19 pandemic had on the hedging properties of Bitcoin, gold, and oil. As the humanitarian and economic crisis of unprecedented magnitude was developing, investors found themselves seeking shelter from the instability of the markets. With S&P 500 as our reference asset, we examine a period spanning the last seven years and focus on how/if these assets were able to provide shelter for equity investors and their portfolios during the pre and post-COVID-19 period of our sample. The empirical results, procured using a DCC-GARCH model show the effectiveness of each asset in reducing portfolio risk for S&P 500 investors. Our analysis signifies that gold provided the best hedging ability of the three assets, with BTC and oil having little impact on reducing portfolio risk, but themselves having better hedging effectiveness in the post-COVID-19 period.